The Small Cap Broad Market portfolio is a portfolio designed to systematically deliver return and risk characteristics of small cap stocks within the US equity market. The portfolio is implemented using a rules-based approach and offered at a relatively low cost.

Research

The goal is to achieve an alternative risk-return profile, which is more attractive than a simple capitalization-weighted index such as the Russell 2000. The weighting methodology results in a portfolio that has less risk concentration in securities with large price appreciation.

Approach

The portfolio is constructed using a rules-based algorithm to determine position allocations. Allocations are a blend of capitalization weights and equal weights. The portfolio is rebalanced quarterly.

Allocation discipline

The portfolio targets an allocation of 1,000 long positions. The allocations are a blend of equal and capitalization weight. Because of the equal weight component, the portfolio has a larger proportion of smaller companies compared to a purely market capitalization weighted portfolio. The weight allocation in this portfolio makes it less prone to having concentration in bubble stocks that have experienced dramatic price appreciation.

Sell discipline

Sell decisions are based only upon the quarterly rebalance criteria; every quarter the portfolio is rebalanced to target weights.

Exceptions

Positions in stocks undergoing corporate actions may be sold or adjusted.

About IBKR Asset Management

IBKR Asset Management is a pioneer in online investing. IBKR Asset Management offers a variety of portfolios, including the Smart Beta portfolios, which are managed by IBKR Asset Management's Chief Investment Officer and Investment Management team. The “Smart Beta” approach to portfolio construction is grounded in academic research. The goal is to achieve an alternative risk-return profile which is more attractive than a simple capitalization-weighted index such as the S&P 500. IBKR Asset Management Smart Beta portfolios are designed to provide systematic exposure to a fundamental factor or combination of factors. Portfolios are constructed using a rules-based approach and offered at a relatively low cost.

Important Information

This portfolio was launched on IBKR Asset Management on December 20, 2016.

Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.

The actual performance of the manager account displayed on this page is based on the performance of an IBKR Asset Management proprietary account invested using this strategy and is calculated by IBKR Asset Management on a daily time-weighted basis, including cash, dividends and earnings distributions. The actual performance for this portfolio is presented “net of fees” and reflects the deduction of the IBKR Asset Management advisory fee, Interactive Brokers LLC brokerage and other commissions and expenses that a client has to pay if he invests in this portfolio after the launch date.

None of the performance information displayed on this page is based on the actual performance of any IBKR Asset Management client account investing in this portfolio. The performance in an IBKR Asset Management client account invested in this portfolio may differ (i.e., be lower or higher) from the Portfolio Manager’s account performance based on any trading restrictions imposed by the client (resulting in different account holdings), time of initial investment, amount of investment, frequency and size of cash flows in and out of the client account, applicable brokerage commissions, and different corporate actions. Clients investing in this portfolio may view the actual performance of their investment in this portfolio by logging into their IBKR Asset Management account and reviewing their customized dashboard.

All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by IBKR Asset Management, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.

The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors (Thomson Reuters Worldscope database) to provide these returns. Neither IBKR Asset Management nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.

Benchmark returns displayed have been calculated by IBKR Asset Management using daily adjusted close prices and include dividend income. More information here. For certain portfolios IBKR Asset Management uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.

Transaction history is available upon request. Portfolio classifications are provided by IBKR Asset Management, and are intended to serve as a general guide.

Not all transactions listed will appear in accounts due to IBKR Asset Management's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.

Covestor Ltd (175 Federal Street, Boston, MA, 02110) (also known as "Interactive Brokers Asset Management") is an Investment Adviser registered with and regulated by the Securities and Exchange Commission under the Investment Advisers Act of 1940. Registration does not imply a level of skill or training. Covestor Ltd is not registered in any jurisdiction outside the United States. While registered as a private limited company in the United Kingdom, Covestor Ltd is not registered to provide investment management or advice in the United Kingdom. This website is for informational purposes only and is not intended to be a solicitation or advertisement in any jurisdiction other than the United States. See important Terms of Use and our Privacy Policy Notice on our Forms and Agreements page.